depth {obAnalytics}

Depth.

Description

Price level depth (liquidity) through time.

Format

A data.frame consisting of the following fields:

timestamp

Time at which volume was added or removed.

price

Order book price level.

volume

Amount of remaining volume at this price level.

side

The side of the price level: bid or ask.

Details

The depth data.frame describes the amount of available volume for all price levels in the limit order book through time. Each row corresponds to a limit order event, in which volume has been added or removed.

Author(s)

phil

See Also

Other Limit.order.book.data: depth.summary, events, trades